Investigation of the relationship between macroeconomic variables and the stock cash return index in Tehran Stock Exchange
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2013, Vol 6, Issue 1
Abstract
This study has been done to determine the long-run relationship between the growth rate of stock index yields returns and a set of macroeconomic variables such as inflation rate, money supply growth rate, and exchange rate and oil revenues. In this research, data was analyzed quarterly for a period of 2002-2011 (1381 -1390 Persian calendar) using vector autoregressive with distributed lags.Generalized Dickey Fuller unit root test showed that the level of liquidity growth rate and other variables in first differences are permanent. The co-integration test results also indicate the existence of long-run relationship between economic variables and the rate of cash return. Long-run relationship between growth rates and yields of oil revenues and a negative exchange rate, and inflation are positively related. More, the significance of factor is the growth rate of cash flows, in the ninety percent confidence level, was rejected.
Authors and Affiliations
Jamal Esmaeili*| Master of Economic Sciences, lecturer in Islamic Azad University-Eyvan branch, Iran. email:jm.esmaeili@yahoo.com, Sajad Gholami| Master of Accounting, lecturer in Islamic Azad University-Eyvan branch, Iran.
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